Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0007 |
| Annualized Std Dev | 0.1522 |
| Annualized Sharpe (Rf=0%) | -0.0047 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5575.0000 |
| NAs | 1.0000 |
| Minimum | -0.1827 |
| Quartile 1 | -0.0040 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0043 |
| Maximum | 0.2011 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0096 |
| Skewness | -0.1607 |
| Kurtosis | 69.7133 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0069 |
| Gain Deviation | 0.0072 |
| Loss Deviation | 0.0079 |
| Downside Deviation (MAR=210%) | 0.0120 |
| Downside Deviation (Rf=0%) | 0.0069 |
| Downside Deviation (0%) | 0.0069 |
| Maximum Drawdown | 0.5273 |
| Historical VaR (95%) | -0.0136 |
| Historical ES (95%) | -0.0218 |
| Modified VaR (95%) | -0.0027 |
| Modified ES (95%) | -0.0027 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-01-27 | 2008-10-10 | NA | -0.5273 | 4311 | 1180 | NA |
| 1999-07-26 | 1999-12-30 | 2001-08-02 | -0.2574 | 510 | 111 | 399 |
| 2003-06-19 | 2003-08-15 | 2004-01-21 | -0.1248 | 147 | 40 | 107 |
| 2001-08-07 | 2002-04-19 | 2002-07-18 | -0.1220 | 235 | 173 | 62 |
| 2002-08-21 | 2002-10-21 | 2003-01-27 | -0.0977 | 108 | 42 | 66 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -2 | 0 | 0 | 0.8 | 0 | 0.8 | 0.4 | 0.4 | -0.8 | -0.4 | 0.9 | 0 | 0 |
| 2000 | 0.5 | 0 | 0.9 | 0 | 0.4 | 0.4 | 0.4 | 0 | 0.4 | 1.7 | 0.9 | 0.4 | 6.3 |
| 2001 | 0 | 0 | 0.4 | 0 | 0.2 | 0.5 | 0.1 | 0 | -0.3 | 0 | 0 | 0.4 | 1.3 |
| 2002 | -1.4 | 0.8 | 0.4 | 1.9 | 0.4 | 1.2 | 0.6 | -0.2 | 0 | 1.5 | 0.5 | 1.1 | 7.2 |
| 2003 | -1.4 | 0.6 | -0.5 | 0.8 | -0.7 | -0.3 | -1 | 0.1 | 0.1 | 0.5 | -1.3 | -1.5 | -4.5 |
| 2004 | -0.8 | 1 | -0.3 | -1.3 | 0.7 | 1.7 | 1.2 | 1.4 | -1.1 | 1.5 | -0.7 | 0.9 | 4.2 |
| 2005 | 1.4 | -0.4 | -0.4 | 0.4 | 0.2 | 2.3 | -0.8 | -0.4 | 0.6 | -0.2 | 1.1 | 0.4 | 4.2 |
| 2006 | -0.6 | 0.6 | 0.2 | 1.4 | 0.6 | 0.1 | 1.5 | 0.5 | 0.1 | 0.9 | 0.1 | 0.9 | 6.3 |
| 2007 | 0.8 | -0.9 | 1.2 | -0.7 | 0.1 | 0.1 | 0.1 | 0.9 | -0.1 | -0.4 | 0.8 | 1.4 | 3.3 |
| 2008 | 0.1 | -1.3 | 0.2 | -0.1 | -0.7 | 0.5 | 0.4 | 0.4 | 1.2 | -1.6 | 1.8 | 0.4 | 1.3 |
| 2009 | -0.8 | -0.7 | 0.4 | 0.9 | -0.4 | 0.8 | 1.3 | 0.1 | 1.5 | 2.8 | 1 | 0.8 | 8 |
| 2010 | 0.5 | 0.7 | -0.7 | 0.7 | 0.6 | 0.4 | 0.8 | -0.2 | -0.4 | -0.6 | -0.5 | 2.1 | 3.2 |
| 2011 | 1.1 | 1.6 | -0.3 | -0.2 | 1.9 | -0.8 | 1.2 | -0.3 | 0.3 | 1 | 1.3 | 0.6 | 7.5 |
| 2012 | 1.1 | 0.9 | -0.4 | 3.6 | -0.3 | -1.2 | -0.5 | 0.5 | 1.1 | 0.2 | 0.9 | -0.4 | 5.4 |
| 2013 | -0.2 | 0.5 | 0.9 | 0.2 | -0.8 | -0.6 | -0.8 | -0.7 | 1 | -0.9 | 0.3 | -0.4 | -1.5 |
| 2014 | 0.4 | 0.3 | -0.7 | 0.6 | 0.1 | -0.2 | 0.2 | 0.8 | 0.7 | 0.5 | -0.4 | -0.2 | 2.3 |
| 2015 | 0.6 | 0.4 | 0.4 | -0.1 | 0.8 | -0.3 | 1.9 | 0.4 | 0.1 | 1.4 | -0.3 | 0.1 | 5.7 |
| 2016 | 0.8 | 0.8 | -1.7 | -0.1 | 0.8 | 0.8 | 0 | 0.3 | 0.5 | 1 | -0.9 | 0.5 | 2.8 |
| 2017 | -0.5 | -0.5 | 0.2 | 0 | 0.2 | -0.3 | 0 | -0.1 | 0.3 | 0.2 | 0.2 | 0 | -0.3 |
| 2018 | -0.2 | -0.6 | -0.2 | -0.2 | 0.2 | 0.2 | 0.2 | 0.2 | 0.2 | 0.3 | 0.4 | 0.4 | 1 |
| 2019 | -0.5 | -0.1 | 0.2 | 0.4 | 0 | -0.1 | 0.7 | 0.1 | 0 | 0.4 | 0.1 | 0.3 | 1.6 |
| 2020 | -0.1 | -1.6 | -3.3 | 0.8 | 0.5 | 0.8 | 0.6 | 0.5 | 0.6 | -0.2 | 0.1 | -0.9 | -2.4 |
| 2021 | -0.6 | 1.3 | 1.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
